2. A trader has the following portfolio, where option contracts are for one share. Long 1-year put with strike $80 Long 1-year call with strike $120 Assume that the price of the underlying asset is $100. Volatility is 20%, rate=1%, dividend yield 0%. a. Calculate the value of the portfolio. b. What will be the value if the stock drops 25% in 1 month? C. What will be the value if the stock drops 25% and the volatility goes up to 45 % in a month? d. What will be the new value of the portfolio Delta in scenario c